Trend-Following Backtester · Guide · backtest 한국어
equity · US
MongoDB, Inc. backtest
10 trend-following strategies were compared on the full daily history of MongoDB, Inc.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is SMA 크로스오버 (CAGR 32.8%, MDD -53.4%).
Results by strategy
2 of 10 beat buy and hold (CAGR 30.7%, drawdown -76.5%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 33.6%, MDD -59.9%, Sharpe 0.83, 62% exposure.
Return/drawdown alternative: SMA 크로스오버 — CAGR is 2.9%p higher than buy and hold, while drawdown improves by 16.7%p (CAGR 32.8%, MDD -53.4%, exposure 59%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=36, exitN=40 |
33.6% | -59.9% | 0.83 | 0.56 | 12.7x | 21 | 62% |
| SMA 크로스오버 fast=57, slow=127 |
32.8% | -53.4% | 0.82 | 0.61 | 12.1x | 17 | 59% |
| ROC 모멘텀 n=67, threshold=0.03 |
28.6% | -61.5% | 0.76 | 0.46 | 9.1x | 85 | 60% |
| EMA 크로스오버 fast=35, slow=38 |
28.0% | -56.2% | 0.74 | 0.50 | 8.7x | 25 | 63% |
| Supertrend period=21, mult=4.9 |
23.9% | -70.2% | 0.69 | 0.34 | 6.5x | 25 | 63% |
| Parabolic SAR step=0.02, maxStep=0.16 |
21.7% | -55.3% | 0.65 | 0.39 | 5.6x | 181 | 54% |
| MACD fast=8, slow=38, signal=15 |
17.3% | -58.0% | 0.58 | 0.30 | 4.1x | 140 | 51% |
| Keltner 채널 돌파 emaPeriod=19, atrPeriod=21, mult=1.5 |
10.4% | -44.5% | 0.47 | 0.23 | 2.4x | 80 | 31% |
| 볼린저 밴드 돌파 n=43, k=1.5 |
5.4% | -59.2% | 0.32 | 0.09 | 1.6x | 68 | 42% |
| ADX / DI 방향성 period=11, threshold=35 |
3.8% | -34.2% | 0.28 | 0.11 | 1.4x | 38 | 12% |
| Buy and hold | 30.7% | -76.5% | 0.73 | 0.40 | 10.5x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 36 days
- Sell — Sell when price breaks below the lowest low of the last 40 days